Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0278 |
| Annualized Std Dev | 0.1942 |
| Annualized Sharpe (Rf=0%) | -0.1431 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4169.0000 |
| NAs | 1.0000 |
| Minimum | -0.2263 |
| Quartile 1 | -0.0038 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0040 |
| Maximum | 0.2195 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0122 |
| Skewness | -0.4574 |
| Kurtosis | 71.1619 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0089 |
| Gain Deviation | 0.0099 |
| Loss Deviation | 0.0111 |
| Downside Deviation (MAR=210%) | 0.0135 |
| Downside Deviation (Rf=0%) | 0.0090 |
| Downside Deviation (0%) | 0.0090 |
| Maximum Drawdown | 0.6414 |
| Historical VaR (95%) | -0.0139 |
| Historical ES (95%) | -0.0286 |
| Modified VaR (95%) | -0.0041 |
| Modified ES (95%) | -0.0041 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-09-23 | 2008-12-15 | NA | -0.6414 | 4152 | 1066 | NA |
| 2004-08-30 | 2004-08-30 | 2004-09-01 | -0.0005 | 3 | 1 | 2 |
| 2004-09-02 | 2004-09-02 | 2004-09-22 | -0.0005 | 14 | 1 | 13 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | NA | 0.1 | 0 | 0.4 | 0.2 | 0.5 | 1.2 |
| 2005 | 0.4 | 0.3 | 0.4 | 0.2 | 1 | 0.2 | 0.3 | 0.2 | 0.7 | 1.2 | 0.8 | 0 | 5.8 |
| 2006 | 0.6 | 0.7 | 0 | 0.7 | 0.3 | -0.1 | 0.2 | 0.6 | 0.2 | 0.7 | 0.2 | 0.5 | 4.7 |
| 2007 | -0.1 | -0.6 | -0.1 | 0.3 | -0.2 | 0.1 | -2.4 | 1.2 | 0.7 | -0.8 | 0.8 | 0.8 | -0.3 |
| 2008 | 0.4 | -1.8 | 1.5 | 0.3 | -0.3 | -0.5 | 0.8 | 0.1 | 3.1 | 0.3 | -4.4 | -2.8 | -3.5 |
| 2009 | 0.5 | -2.1 | 0.5 | 4.9 | 1.2 | 1.6 | 0.5 | -0.3 | 0 | -2.2 | 1 | -1.4 | 4.2 |
| 2010 | 0 | 0.8 | 0.2 | -0.5 | -0.7 | 0 | 0.1 | -0.1 | 0.9 | 0.3 | 1.3 | 0.6 | 3 |
| 2011 | -0.3 | 1.2 | -0.3 | -0.1 | 0.1 | -1.1 | 2.1 | 0.4 | -1.5 | -0.5 | 2 | -0.3 | 1.6 |
| 2012 | 1.2 | -0.7 | 0.5 | 0.6 | -0.4 | -0.6 | 0 | -0.1 | 2.1 | 0.7 | -1.1 | -1.1 | 0.9 |
| 2013 | 1.4 | -0.2 | 0.1 | -0.1 | -1.8 | 0.1 | 0.3 | -0.1 | 0.1 | -0.5 | 0 | -1.1 | -1.7 |
| 2014 | 0.1 | 0.3 | -0.7 | 0.4 | 0.1 | 0.1 | -0.6 | 0.4 | -0.6 | 0.2 | -0.5 | 1.2 | 0.3 |
| 2015 | 0 | 0 | 0.1 | -0.2 | 0.1 | 0.7 | 0.2 | -0.2 | 0.9 | -0.1 | -0.4 | 0 | 1.1 |
| 2016 | -0.5 | 1.7 | -1.2 | 0.4 | 0.4 | 0.8 | 0.2 | -0.1 | -0.2 | -1 | 0.7 | -0.7 | 0.4 |
| 2017 | 0 | 0.4 | -0.8 | -0.2 | -0.9 | 0.5 | -0.1 | -0.2 | 0.2 | -0.3 | -0.2 | 0.7 | -1 |
| 2018 | 0.9 | 0.1 | 0.2 | -0.1 | -0.1 | 0.1 | -0.4 | -0.2 | 0.1 | 0.3 | -0.3 | 0.2 | 0.7 |
| 2019 | 0.3 | -0.1 | 0.4 | 0.5 | -1.1 | -0.1 | -0.1 | 0.2 | 0.2 | 0.5 | 0.4 | 0.2 | 1.3 |
| 2020 | -0.2 | -2.5 | -3.8 | -1.7 | 1.6 | 0.2 | 0.2 | 0.3 | 0.5 | 0.7 | 0.6 | -0.2 | -4.3 |
| 2021 | 0.8 | 0.2 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-08-26 20 SPY 111. 0 0.0127 0.0091 -0.0102 0.110 -0.0571 -0.170 <NA> NA NA NA
2 2004-08-27 20.0 SPY 111. 0.0032 0.0088 0.008 -0.0126 0.113 -0.0377 -0.183 <NA> NA NA NA
3 2004-08-30 20 SPY 111. -0.0083 0.003 -0.0028 -0.0206 0.097 -0.0555 -0.193 <NA> NA NA NA
4 2004-08-31 20 SPY 111. 0.0052 0.0069 0.0004 -0.0142 0.0953 -0.0471 -0.197 <NA> NA NA NA
5 2004-09-01 20.0 SPY 111. 0.0019 0.002 0.0101 -0.016 0.0829 -0.0647 -0.186 <NA> NA NA NA
6 2004-09-02 20 SPY 113. 0.0113 0.0133 0.0216 0.0044 0.0892 -0.0484 -0.166 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
